Yes you can.
First of all you will have to download some music software. two of the most popular are "winamp" and "Itunes" which are free, you just need to google them.
I only use Itunes so I can only give you instructions for that sorry. so here they are...
1. From Itunes add the .wma file or copy the CD to your Itunes library by selecting add file/folder or puting in the CD.
2. under edit go to preferences. Under the advanced tab there should be another tab called "importing". select that and then select what you want your songs to be saved as (i.e mp3), click OK.
3. Then to a different "advanced" located on the top bar. in then find and click "consolidate music"
4. your file (and all others in the library) will now be converted. just drag the file from the itunes library to the phones folder and it will be copied.